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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for Dow Jones Transportation as of May 10, 2021
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   27 27 29 27 27 21 24 20 20 30 35
Exceeded High   24 23 25 23 19 18 19 16 19 27 28
Scenario Percentage   89% 85% 86% 85% 70% 86% 79% 80% 95% 90% 80%
Avg Max Increase   7.94% 7.61% 9.15% 6.88% 8.36% 8.93% 7.27% 8.33% 10.28% 7.76% 4.44%
Max Increase   18.41% 16.40% 28.84% 20.52% 18.59% 24.03% 20.58% 22.99% 28.74% 21.22% 8.91%
Avg Days To Max Increase   17 20 18 14 21 15 15 19 21 18 16
Avg Max Decline   -2.16% -1.83% -2.04% -2.53% -2.49% -1.95% -2.30% -2.35% -2.90% -2.15% -1.02%
Max Decline   -7.66% -5.48% -6.03% -10.41% -6.65% -9.97% -9.31% -8.42% -8.89% -9.74% -3.96%
Avg Days to Max Decline   9 10 8 6 11 7 7 10 10 13 4
2020 Contract Condition         Yes Yes Yes Yes Yes Yes   Yes
Action         Yes Yes Yes Yes Yes Yes   Yes
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Dec Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   18 18 16 18 17 24 21 25 24 15 9
Penetrated Low   13 13 9 12 14 15 18 13 14 7 6
Scenario Percentage   72% 72% 56% 67% 82% 63% 86% 52% 58% 47% 67%
Avg Max Decline   10.79% 8.79% 6.47% 6.51% 5.70% 10.63% 9.46% 13.71% 13.26% 9.92% 4.94%
Max Decline   38.67% 30.97% 11.18% 10.71% 10.68% 24.93% 25.62% 36.57% 36.98% 25.14% 9.13%
Avg Days To Max Decline   12 12 24 18 17 18 19 19 16 14 11
Avg Max Increase   -2.96% -1.87% -2.44% -2.18% -2.87% -2.75% -1.62% -2.54% -3.03% -4.05% -2.41%
Max Increase   -9.17% -4.17% -7.11% -4.23% -8.28% -7.61% -4.10% -5.56% -6.67% -8.38% -5.12%
Avg Days to Max Increase   6 5 14 7 8 8 7 13 9 16 3
2020 Contract Condition   Yes Yes Yes             Yes  
Action   Yes Yes No             No  
High 10978.00 11359.00 11072.00 9696.00 8697.00 9187.00 10096.00 10034.00 11377.00 11691.00 12014.00 12773.00
Low 10456.00 10534.00 9129.00 6481.00 7210.00 7505.00 8728.00 9101.00 9954.00 10941.00 10922.00 11091.00
Close/Last 10901.00 10567.00 9388.00 7732.00 8377.00 8970.00 9173.00 9995.00 11185.00 11230.00 11106.00 12450.00

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